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Market on a risk-adjusted basis

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Reference no: EM131222525

Assume the following information:

Your Portfolio

The Market

Expected return

15%

Expected return

14%

Standard deviation

20%

Standard deviation

12%

Beta

1.3

Beta

1.0

If the risk-free rate is 5%, calculate and compare the Sharpe Ratio and the Treynor Index for both Your Portfolio and The Market. Did your portfolio beat the market on a risk-adjusted basis?

Reference no: EM131222525

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